Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0605 |
| Annualized Std Dev | 0.3125 |
| Annualized Sharpe (Rf=0%) | 0.1937 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3760.0000 |
| NAs | 1.0000 |
| Minimum | -0.1416 |
| Quartile 1 | -0.0089 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0096 |
| Maximum | 0.1075 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0004 |
| Stdev | 0.0197 |
| Skewness | -0.2129 |
| Kurtosis | 6.2944 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0141 |
| Gain Deviation | 0.0142 |
| Loss Deviation | 0.0148 |
| Downside Deviation (MAR=210%) | 0.0184 |
| Downside Deviation (Rf=0%) | 0.0139 |
| Downside Deviation (0%) | 0.0139 |
| Maximum Drawdown | 0.7794 |
| Historical VaR (95%) | -0.0290 |
| Historical ES (95%) | -0.0466 |
| Modified VaR (95%) | -0.0306 |
| Modified ES (95%) | -0.0533 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-01-22 | -0.7794 | 1419 | 444 | 975 |
| 2018-08-23 | 2020-04-03 | 2021-02-24 | -0.6139 | 630 | 406 | 224 |
| 2015-04-16 | 2016-01-19 | 2016-11-11 | -0.3138 | 400 | 192 | 208 |
| 2016-12-12 | 2017-08-21 | 2018-05-30 | -0.2158 | 368 | 174 | 194 |
| 2014-07-07 | 2014-10-13 | 2015-04-06 | -0.1496 | 189 | 70 | 119 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | -0.1 | -0.2 | 1.5 | 1 | -1.9 | 0.6 | -1 | -2.2 | -1.2 | -0.9 | -4.4 |
| 2007 | 0.8 | -0.9 | -0.2 | 0.6 | 1.1 | -0.9 | -0.2 | 0.9 | 2.2 | -4.1 | 0.1 | -0.8 | -1.6 |
| 2008 | 2.4 | -3.9 | 4.2 | 2.6 | -0.3 | 0.3 | -0.6 | -0.9 | 1.1 | 4.9 | -12.3 | 9.6 | 5.8 |
| 2009 | -3.7 | -3.5 | 1.1 | 2.4 | 7.6 | 2.9 | 1.2 | -4 | -5.7 | -4.7 | 2.4 | -1.6 | -6.2 |
| 2010 | 1.5 | 2.1 | 1.1 | -5.5 | -3.8 | -0.7 | 0 | 4.6 | 0.6 | -0.6 | 1.8 | -1.7 | -0.9 |
| 2011 | 2.3 | -1.5 | 0.2 | 0.1 | -2.7 | 1.9 | 0.3 | -3 | -1.6 | -4.7 | -0.3 | -0.7 | -9.3 |
| 2012 | 3.1 | 0.1 | -1.1 | -1.1 | -2.5 | 3.8 | -2.1 | 0.5 | 0.2 | 2.1 | 0 | 2.2 | 5 |
| 2013 | 1.1 | -0.4 | -1.2 | -2.9 | -1.2 | 1.5 | 1.2 | -2.6 | 1.1 | 0 | 0.2 | 0.1 | -3.1 |
| 2014 | -0.7 | 0.4 | 1.2 | -0.5 | -0.3 | 1 | 0 | 0.5 | -1.9 | 2 | -1.6 | -0.1 | -0.2 |
| 2015 | -1.5 | 0.5 | 0.1 | 0.4 | 0.1 | -0.4 | 0.7 | -3.1 | -0.5 | -0.4 | 0.6 | -0.8 | -4.1 |
| 2016 | -0.1 | 1.6 | -0.7 | -0.5 | 0.6 | 2 | -0.9 | -0.5 | 1.9 | -1.3 | 0.4 | -1.1 | 1.3 |
| 2017 | 0 | 2 | 0.5 | 0.4 | 2.3 | -0.3 | 0.1 | 0.9 | 0.2 | -1.1 | -1 | -0.6 | 3.6 |
| 2018 | 0.5 | -0.2 | 0.9 | -0.5 | 0.5 | -0.8 | -0.6 | 0.7 | -1.8 | 1.8 | 0.6 | 0.4 | 1.5 |
| 2019 | 0.4 | 0.6 | 2 | -1.4 | -2.1 | 0.3 | -3.2 | -0.3 | -2.2 | 2.2 | -0.9 | 0.9 | -3.9 |
| 2020 | -2.4 | 0 | -8 | -5.1 | 1.7 | -2.8 | -3 | 2 | 1.1 | -2.6 | 1.4 | 0.4 | -16.4 |
| 2021 | 2.4 | 3.5 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
